Add the first 8 ingredients to a 1-1/2- or 2-pound bread machine according to the manufacturer's directions. Select the dough cycle. When cycle is complete, remove dough from machine. Punch down. Cover and let rest 10 minutes.
Meanwhile, for filling, in a medium mixing bowl beat together cream cheese, 1/4 cup grandulated sugar, egg yolk, and vanilla.
On a lightly floured surface, roll the dough into a 15x10-inch rectangle. Cut into three 10x5-inch strips. Spread one-third of the filling down center of each strip; moisten edges. Bring long edges together over filling and pinch to seal.
On a well-greased baking sheet, shape one rope into a loop, attaching one end about 2 inches above the other end to form one leaf and stem of shamrock. Shape remaining ropes into loops; attach one on either side of first loop near the stem. Cover and let rise in a warm place about 30 minutes or until nearly double. In a small bowl combine egg white and 1 tablespoon water; brush over shamrock. Sprinkle with green sugar.
Bake in a 350 degree F oven for 25 to 30 minutes or until bread sounds hollow when lightly tapped. Remove from baking sheet; cool on a wire rack for 1 hour. Store in the refrigerator. Makes 16 servings.